Access Statistics for Jean-David Fermanian

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Asymptotic Total Variation Test for Copulas 0 0 1 3 0 0 4 26
A Nonparametric Simulated Maximum Likelihood Estimation Method 0 0 0 22 0 1 1 579
About Kendall's regression 0 0 0 16 0 0 1 92
About tests of the “simplifying” assumption for conditional copulas 0 0 0 20 0 1 4 32
Agents' Behavior on Multi-Dealer-to-Client Bond Trading Platforms 0 2 3 43 0 2 6 125
An overview of the goodness-of-fit test problem for copulas 0 0 1 51 3 4 8 101
Copulas of a Vector-Valued Stationary Weakly Dependent Process 0 0 1 14 1 1 2 38
Dynamic Asset Correlations Based on Vines 0 0 0 10 1 1 1 40
Fair learning with bagging 0 0 0 15 2 2 7 26
Fair learning with bagging 0 0 0 0 0 0 0 6
Fair learning with bagging 0 0 0 4 0 0 0 5
Goodness of Fit Tests for Copulas 0 0 0 18 0 1 2 80
Hedging default risks of CDOs in Markovian contagion models 0 0 0 0 0 0 0 0
Lower Bounds in Hazard Estimation 0 0 0 1 1 1 1 189
Multi-factor Granularity Adjustments for Market and Counterparty Risks 0 0 0 11 0 0 0 50
Nonparametric Estimation of Competing Risks Models with Covariates 0 0 0 4 0 0 0 221
Nonparametric Estimation of Copulas for Time Series 0 0 0 462 2 2 2 898
Nonparametric estimation of copulas for time series 0 0 1 3 1 2 5 11
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 4 0 1 6 55
On the Stationarity of Dynamic Conditional Correlation Models 0 0 0 7 0 4 4 60
On the stationarity of Dynamic Conditional Correlation models 0 0 0 64 1 1 2 29
Optimal Greek Weight by Kernel Estimation 0 0 0 3 1 1 1 24
Risk Budgeting Portfolios: Existence and Computation 0 0 0 12 1 2 5 19
SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS 0 0 1 540 0 1 3 1,058
Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements 0 0 0 358 0 0 2 1,386
Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements 0 0 0 17 3 5 5 82
Single-index copulae 0 0 0 4 0 0 0 22
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 1 2 4 10
Stochastic Algorithms for Advanced Risk Budgeting 0 0 0 0 1 1 7 22
The Limits of Granularity Adjustments 0 0 1 10 2 2 3 48
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 0 1 1 1 10
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 1 3 18 0 3 5 71
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 0 0 0 2 10
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 0 2 2 8 30
The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms 0 0 0 11 0 0 1 37
The finite sample properties of Sparse M-estimators with Pseudo-Observations 0 0 0 28 1 5 5 48
Vine-GARCH process: Stationarity and Asymptotic Properties 0 0 0 21 0 0 0 62
Volatility Strategies for Global and Country Specific European Investors 0 0 0 5 0 0 0 16
Weak Convergence of Empirical Copula Processes 0 0 0 35 1 1 2 98
Total Working Papers 0 3 12 1,834 26 50 110 5,716

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A NONPARAMETRIC SIMULATED MAXIMUM LIKELIHOOD ESTIMATION METHOD 0 0 0 49 1 1 1 112
A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks 0 0 1 38 1 1 5 90
A classification point-of-view about conditional Kendall’s tau 0 0 0 2 0 0 0 15
A corrected Clarke test for model selection and beyond 0 1 1 3 1 3 10 18
About tests of the “simplifying” assumption for conditional copulas 0 0 0 1 0 0 1 13
An empirical central limit theorem with applications to copulas under weak dependence 0 0 0 24 0 1 2 109
DYNAMIC ASSET CORRELATIONS BASED ON VINES 0 0 0 1 1 1 1 12
Estimation of Copulas via Maximum Mean Discrepancy 0 0 1 2 0 0 1 4
Goodness-of-fit tests for copulas 0 0 1 94 4 4 5 264
High-dimensional penalized arch processes 0 0 2 8 0 0 3 17
Les horaires de travail dans le couple 0 0 0 2 0 0 2 60
Les rythmes de travail hors norme 0 0 0 4 0 0 1 104
Model-based vs. agnostic methods for the prediction of time-varying covariance matrices 0 1 4 4 1 3 9 9
Multifactor granularity adjustments for market and counterparty risks 0 0 0 0 0 0 5 5
Multivariate Hazard Rates under Random Censorship 0 1 1 27 3 4 5 62
Nonparametric estimation of competing risks models with covariates 0 0 0 15 1 1 2 51
Nonparametric estimation of copulas for time series 0 0 0 0 0 0 0 0
ON THE STATIONARITY OF DYNAMIC CONDITIONAL CORRELATION MODELS 0 0 0 8 0 4 5 36
On Kendall’s regression 0 0 1 3 0 0 2 22
On break-even correlation: the way to price structured credit derivatives by replication 0 0 0 1 0 0 0 17
On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior 0 0 0 0 3 3 4 11
On the Dependence between Default Risk and Recovery Rates in Structural Models 0 0 0 13 0 1 1 45
On the Link between Volatilities, Regime Switching Probabilities and Correlation Dynamics 0 0 1 27 0 0 4 68
Recent Developments in Copula Models 0 0 0 5 0 0 2 32
Réduction collective et individuelle du temps de travail: que souhaitent les salariés ? 0 0 0 1 0 0 1 47
Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements 0 1 1 64 0 2 4 217
Single-index copulas 0 0 0 0 2 2 5 15
The finite sample properties of sparse M-estimators with pseudo-observations 0 0 0 0 0 0 3 10
The limits of granularity adjustments 0 0 0 4 0 0 1 35
Time-dependent copulas 0 1 4 15 1 2 11 54
Total Journal Articles 0 5 18 415 19 33 96 1,554

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Statistics updated 2025-11-08